Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
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Publication:1890893
DOI10.1007/BF01299458zbMath0824.90028MaRDI QIDQ1890893
Publication date: 9 November 1995
Published in: Computational Economics (Search for Journal in Brave)
Economic growth models (91B62) Stochastic systems in control theory (general) (93E03) Economics of information (91B44)
Related Items (6)
Pricing foreign equity option with stochastic volatility ⋮ Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing ⋮ Exponential change of measure applied to term structures of interest rates and exchange rates ⋮ Markov-modulated jump-diffusions for currency option pricing ⋮ Pricing multivariate options under stochastic volatility lévy processes ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion
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